Random autoregressive models: A structured overview

Abstract: Models characterized by autoregressive structure and random coefficients are powerful tools for the analysis of high-frequency, high-dimensional and volatile time series. The available literature on such models is broad, but also sectorial, overlapping, and confusing. Most models focus on one property of the data, while much can be gained by combining the strength of various models and their sources of heterogeneity. We present a structured overview of the literature on autoregressive models with random coefficients. We describe hierarchy and analogies among models, and for each we systematically list properties, estimation methods, tests, software packages and typical applications.